Yes. Mormons believe in what we call a “pre-mortal existence“. We believe that prior to this life, we lived as spirits with God. As spirits we didn’t have a physical body like we do here, but we had consciousness, could communicate with each other just as we do here, could make choices and learn, and perhaps in many ways life wasn’t 100% different than what life is like here. We believe our spirits leave the presence of God sometime between conception and birth (I’m not sure and I don’t know whether anybody else in the church is sure so it seems we tend to err on the side of saying physical life begins at conception), inhabit our bodies here on earth, and that when we die our spirits leave our bodies and return to God. We believe that when our spirits come to our bodies here on earth that our previous memory is hidden or “veiled”, and that this is necessary in order to allow us to prove to God and ourselves what it is that we really want. After all, if we could remember being with God then it wouldn’t be very hard to keep the commandments. But if we forget it all and we’re here and we’re not sure whether God is real or not or whether these commandments are worth keeping or not then we are completely free to choose what it is we really want to do, and that makes this life an effective test, since we then prove with every choice we make just who we are and what we want.
But frankly, Mormons don’t claim to know all that much more than this about what was going on before we were born. We have a few bits of general information, but not much in the way of details, although there are more details than what I’ve given above, but I’m trying to keep it short and simple.